The Asia Financial Crises and Exchange Rates: Had There Been Volatility Shifts for Asian Currencies?

Takashi Oga () and Wolfgang Polasek ()
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Takashi Oga: Chiba University, Chiba, Japan

Working Paper Series from The Rimini Centre for Economic Analysis

Abstract: We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. Our goal is to check if the characteristics of the volatility dynamics have changed in a K-state switching AR(1)-GARCH(1,1) model in the last decade 1995-2008 covering the Asian crisis. We estimate the model of Haas et al. (2003) with MCMC and we find that for the 4 currencies the volatility dynamics has changed at least once.

Keywords: Markov switching GARCH models; Asian currency crisis 1997; Volatility breaks; Bayesian MCMC; Model choice (search for similar items in EconPapers)
JEL-codes: F31 C11 C22 (search for similar items in EconPapers)
Date: 2010-01
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